integrating sustainability SAFI

中文标题

将可持续性因素纳入系统化主动固定收益策略

State Street09/28/2026updated 10/17/2026

Multiple economies

Citable research brief

Core conclusion · Tlines extraction

This State Street research article explains how sustainability considerations are integrated into a systematic active fixed income framework, comparing a SAFI Climate strategy with a standard SAFI strategy across US and EUR investment-grade corporate bond universes. All displayed results are hypothetical backtests through June 30, 2026, produced with retroactive model application and hindsight, and are not indicative of past or future performance.

Institution: State Street
Published: 09/28/2026
Research topic: US Dollar (DXY)
Time horizon: Not explicitly stated

US Dollar (DXY) · DXY

Key arguments

Sustainability factors can be embedded within a systematic active fixed income framework rather than treated as a separate overlay.
The SAFI Climate strategy differs from the standard SAFI strategy primarily through sector and climate-metric deviations versus the US and EUR IG corporate indices.
Climate-related metrics and carbon intensity vary materially across sectors and correspond to the observed sector deviations.
Backtested results are illustrative only and were generated by retroactive application of a model developed with hindsight.

Key numbers

Backtest data period: July 2019 to March 2025
Comparative analysis data as of: June 30, 2026
Fossil fuel reserve metrics data availability: From July 2019
Firm assets under management: Over $6 trillion as of June 30, 2026
ETF AUM included: $2,203.98 billion, of which approx. $156.81 billion in gold assets

Main risks

Investing involves risk including the risk of loss of principal; all forms of investment carry the risk of losing the entire invested amount.
Bonds carry interest rate, issuer default, issuer credit, liquidity and inflation risks.
Back-tested performance is hypothetical, does not reflect actual trading or management fees, and may not be indicative of future results.

Corresponding source evidence

Executive summary Systematic Active Fixed Income Climate strategies 4 The SAFI Climate Strategy is designed to reduce exposure to issuers with higher carbon emissions and fossil-fuel-related activities relative to a market- weighted corporate bond index by reallocating capital towards companies better positioned to manage the risks associated with climate change.
Strategy profile: SAFI Climate Systematic Active Fixed Income Climate strategies 5 Figure 1: Select metrics and targets for the SAFI Climate Strategy Category Metric Purpose Target relative to the benchmark Backward Looking GHG Intensity CO 2e emissions per $M revenues Considers a company’s emissions in relation to its output.
Remove bonds scored 24 or lower (climate laggards) † Product & Norms-Based Sustainability Risks 1.

Context: the conclusion is Tlines' automated extraction, not the institution's wording. Quoted evidence is publisher wording. Scope and date must travel with the conclusion.

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